ESTIMATION OF LYAPUNOV EXPONENTS FROM TIME-SERIES - THE STOCHASTIC CASE

被引：54
|
作者：
DAMMIG, M
MITSCHKE, F
机构：
[1] Institut für Quantenoptik, Universität Hannover, W-3000 Hannover 1
来源：
PHYSICS LETTERS A | 1993年 / 178卷 / 5-6期
关键词：
D O I：
10.1016/0375-9601(93)90865-W
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
Direct estimation of the largest Lyapunov exponent from deterministically chaotic data is well established. From stochastic data a finite, positive value is obtained as well; we show how it is determined by spectral properties of the signal and by computational parameters. Distinction of chaos versus noise is discussed.
引用
收藏
页码：385 / 394
页数：10
相关论文
共 50 条
  • [31] Estimation of Lyapunov exponents from a time series for n-dimensional state space using nonlinear mapping
    Yang, Caixia
    Wu, Christine Qiong
    Zhang, Pei
    NONLINEAR DYNAMICS, 2012, 69 (04) : 1493 - 1507
  • [32] Estimation of Lyapunov exponents from a time series for n-dimensional state space using nonlinear mapping
    Caixia Yang
    Christine Qiong Wu
    Pei Zhang
    Nonlinear Dynamics, 2012, 69 : 1493 - 1507
  • [33] Non-parametric Estimation of Stochastic Differential Equations from Stationary Time-Series
    Chen, Xi
    Timofeyev, Ilya
    JOURNAL OF STATISTICAL PHYSICS, 2022, 186 (01)
  • [34] Non-parametric Estimation of Stochastic Differential Equations from Stationary Time-Series
    Xi Chen
    Ilya Timofeyev
    Journal of Statistical Physics, 2022, 186
  • [35] Lyapunov exponents of stochastic flows
    Liao, M
    ANNALS OF PROBABILITY, 1997, 25 (03): : 1241 - 1256
  • [36] ESTIMATION OF SINUSOIDS FROM INCOMPLETE TIME-SERIES
    NAIDU, PS
    PARAMASIVAIAH, B
    IEEE TRANSACTIONS ON ACOUSTICS SPEECH AND SIGNAL PROCESSING, 1984, 32 (03): : 559 - 562
  • [37] GLOBAL DYNAMICAL EQUATIONS AND LYAPUNOV EXPONENTS FROM NOISY CHAOTIC TIME SERIES
    Kadtke, James B.
    Brush, Jeffrey
    Holzfuss, Joachim
    INTERNATIONAL JOURNAL OF BIFURCATION AND CHAOS, 1993, 3 (03): : 607 - 616
  • [38] DYNAMIC RECONSTRUCTION AND LYAPUNOV EXPONENTS FROM TIME-SERIES DATA IN BOILING WATER-REACTORS - APPLICATION TO BWR STABILITY ANALYSIS
    MUNOZCOBO, JL
    VERDU, G
    PEREIRA, C
    ANNALS OF NUCLEAR ENERGY, 1992, 19 (04) : 223 - 235
  • [39] Estimating 1/fα scaling exponents from short time-series
    Miramontes, O
    Rohani, P
    PHYSICA D-NONLINEAR PHENOMENA, 2002, 166 (3-4) : 147 - 154
  • [40] Lyapunov exponents from a time series: A noise-robust extraction algorithm
    Banbrook, M
    Ushaw, G
    McLaughlin, S
    CHAOS SOLITONS & FRACTALS, 1996, 7 (07) : 973 - 976
12345